Automatic mapping and allocation of beneficial interests in trusts for portfolio analysis

ABSTRACT

The present invention relates to analysis of trusts that have multiple beneficiaries whose interests mature in different time periods or under different conditions. In particular, we disclose automatic mapping of interests in one or more trusts, optionally subject to user confirmation, to long and short positions in financial or derivative interests that have expected payouts and costs that can be offset against underlying trust assets. The underlying assets and long and short positions in the mapped instruments can be attributed to various beneficiaries and subjected to various risk and investment analyses.

RELATED APPLICATION

This application is a continuation of U.S. patent application Ser. No.12/028,684, filed 8 Feb. 2008, which is related to and claims thebenefit of Provisional Application No. 60/889,241, filed 9 Feb. 2007,which is incorporated by reference and is also related to and claimspriority as a continuation-in-part of U.S. patent application Ser. No.11/627,814 filed Jan. 26, 2007, which claims the benefit of ProvisionalApplication No. 60/785,117. The priority applications are incorporatedby reference. This application is related to and further claims thebenefit of Provisional Application No. 60/979,765, filed 12 Oct. 2007,which is incorporated by reference.

The priority applications illustrate analyses that can be performed onand reported from the automatic mapping and allocation of beneficiaryinterests as disclosed in this application.

BACKGROUND OF THE INVENTION

The present invention relates to analysis of trusts that have multiplebeneficiaries whose interests mature in different time periods or underdifferent conditions. In particular, we disclose automatic mapping ofinterests in one or more trusts, optionally subject to userconfirmation, to long and short positions in financial or derivativeinterests that have expected payouts and costs that can be offsetagainst underlying trust assets. The underlying assets and long andshort positions in the mapped instruments can be attributed to variousbeneficiaries and subjected to various risk and investment analyses.

The problems of managing an institutional portfolio or an individualretirement account have produced a substantial body of literatureregarding analytical techniques. Several Nobel prizes in economics havebeen awarded for advances related to portfolio theory. However, theanalysis is not applicable when legal entities such as trusts areinterposed between assets and beneficiaries. These entities typicallyare employed to split risks and benefits of asset ownership amongbeneficiaries according to goals set by the original contributor ofassets to the trusts. Many times, the entities allocate interests toachieve efficient tax and transfer benefits. By tax benefits, we meanfavorable tax rates when income is realized. By transfer benefits, wemean favorable gift or estate tax rates when assets are transferred.

The economic situation of beneficiaries is transformed by the legalstructure of trust and other entities. The economic situation of anyparticular beneficiary cannot be derived directly from the underlyingassets, due to the entities.

An opportunity arises to develop a system and method for reducing thecomplex situation of portfolios held by trusts and other entities forthe benefit of multiple beneficiaries to one which can be evaluated forindividual beneficiaries using portfolio analysis techniques typicallyapplied to institutional or individual portfolios.

SUMMARY OF THE INVENTION

The present invention relates to analysis of trusts that have multiplebeneficiaries whose interests mature in different time periods or underdifferent conditions. In particular, we disclose automatic mapping ofinterests in one or more trusts, optionally subject to userconfirmation, to long and short positions in financial or derivativeinterests that have expected payouts and costs that can be offsetagainst underlying trust assets. The underlying assets and long andshort positions in the mapped instruments can be attributed to variousbeneficiaries and subjected to various risk and investment analyses.Particular aspects of the present invention are described in the claims,specification and drawings.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 conceptually depicts the relationships among assets, entities,beneficiaries and goals.

FIG. 2 summarizes a complex of family trusts with varying beneficiaryinterests. A variety of immediate, deferred and contingent interests areillustrated, with additional possible interests listed.

FIG. 3-9 depict mapping of beneficiary interests to balancedcombinations of long and short assets that can be evaluated forindividual beneficiaries using portfolio analysis techniques.

FIG. 3 schematically depicts payouts to a particular beneficiary forlife.

FIG. 4 schematically depicts a remainder interest in accumulated incomefor a particular beneficiary.

FIG. 5 schematically depicts a terminal payout to a particularbeneficiary.

FIG. 6 schematically depicts a remainder interest of a particularbeneficiary in an asset.

FIG. 7 schematically depicts a percentage interest of a particularbeneficiary in an asset.

FIG. 8 schematically depicts a dollar amount interest of a particularbeneficiary in an asset.

FIG. 9 schematically depicts a complex cost recovery interests of aparticular beneficiary.

FIG. 10 depicts a system that interacts with a user to collect data andperform trust analyses.

FIG. 11 is a high-level flowchart of data entry, analysis and output.

Additional figures appear in the applications that have beenincorporated by reference.

DETAILED DESCRIPTION

The following detailed description is made with reference to thefigures. Preferred embodiments are described to illustrate the presentinvention, not to limit its scope, which is defined by the claims. Thoseof ordinary skill in the art will recognize a variety of equivalentvariations on the description that follows.

In the following paragraphs, we disclose how the complex situation ofbeneficiary interests in one or more trusts can be reduced to aportfolio analysis problem that can be addressed by a variety oftechniques. For beneficiary interests in a portfolio, we constructcombinations of long and short interests in financial or derivativeinstruments having the same payout and/or cost as the beneficiaryinterests. We then indicate a variety of analyses for entities andindividuals that can be combined with our allocation of long and shortassets to facilitate economic analysis of beneficiary interests.

In the abstract, analysis begins by recognizing layers of assets,entities, beneficiaries and goals, as illustrated in FIG. 1. Assets areheld by entities. Assets are subject to portfolio analysis.Beneficiaries have interests in assets of the entities, by theirrelationship to the structure of the entities. The beneficiary interestsare not directly subject to portfolio analysis. Goals for activities tobe financed by the beneficiary interests and policies for investing setand steer the course.

In the materials incorporated by reference, we have described balancingof resources and claims using a balance sheet of sorts. Resources areassets of various types held by one or more legal entities. Returns onthe assets accrue to the beneficiaries through the entities. Claims aregoals that the beneficiary interests should enable. Goals can beexpressed as essential, additional and aspirational. A balance sheetshows the extent to which the present value of resources satisfies thepresent cost of the goals, by category. A surplus can be expressed as amargin of safety, using risk-at-value measures. A shortfall in meetinggoals may lead to a readjustment of goals or a different investmentstrategy.

FIG. 2 depicts interests in a family of legal entities, as an example ofwhat a trusted advisor needs to consider. The structure is complex andthe advisor's role is challenging. The advisor takes into accountefficiencies and risk management. The advisor is expected to generaterequired cash flows from the assets and help the family keep resourcesand claims in balance. Efficiencies include investing, tax and transferefficiencies. Part of investment efficiency is risk management. Tax andtransfer efficiencies implicate the legal structure of entities. Cashflow analysis, described in the incorporated materials, shows howresources will be spent to meet goals over time. Focus on the overallbalance of resources and claims can be more productive than looking atthe details of cash flow, especially when there is a surplus ofresources to meet at least essential goals. Keeping resources and claimsin balance can usefully begin with a family mission statement.

A family mission statement for a family with assets structured asdepicted in FIG. 2 is detailed in the incorporated materials. (1) Theassets should be managed in a prudent and efficient manner to preservetheir real economic value and to enhance it where compatible withoverall goals. (2) Primary goals include providing and income to Alexand Sylvia M. 210, 220; transferring a basic inheritance to the childrenof Alex 240, 250, 260, 270; and supporting a parent 280. (3) Secondarygoals include providing additional income; funding a program ofcharitable giving, funding to weddings and education; funding a pensionfor a caretaker and companion 290; establishing a financial reserve forfuture goals; and enhancing the children's inheritance. (4) Additionalgoals may be purchasing a yacht and increasing philanthropy. (5)Residual goal is that additional assets should be invested in amoderately aggressive fashion for long-term wealth creation. In theincorporated materials, dollar amounts and dates are given for ahypothetical Alexander Montgomery family with these goals.

The particular legal entities in FIG. 2 are among a large number ofentity types that include households, trusts, corporations andfoundations. Within these broad categories, there are number ofsubcategories. For instance, trusts may be revocable, irrevocable,grantor, or defective grantor trusts, among others. Abstracting andgeneralizing, we note the following features of a legal entity: (1) Ithas a type and a subtype. (2) It may hold property, such as real estateor investment accounts. (3) Depending on its type, it defines a set ofroles and persons associated with the roles. A person may be eithernatural or corporate person. For instance, a trust defines a trusteerole. The trustee role may be filled by either a natural person or trustcompany. (4) It may have a terminating event, after which the entityceases to exist. The entity may never terminate, it may terminate at afixed date, after the first or last death of people in a list, or atsome combination of a fixed date and a death event. (5) an entity has alist of beneficial interests. A beneficial interest, which we sometimesrefer to as a beneficiary interest, is a combination of beneficiary andinterest. A beneficiary can be either a natural person or an entity.

Looking at FIG. 2, we see individuals with various relationships. Alex210 is married to Sylvia 220 and previously was married to Helen 230.Alex and Sylvia have one child Cedrick 270. Alex and Helen had threechildren, Didi, Nicki and Robert 240, 250, 260. Jane 280 is Alex'smother. Violet 290 is mother's caretaker or companion. The variousentities 201-208 are owned or controlled by or subject to Alex'sbeneficiary interest. We reference beneficial interests in the entitiesby combining the row and column numbers in the chart. Alex has 100percent control 211 of the AM trust 201. Remainder interests in thetrust are divided equally among four children of two marriages 241, 251,261, 271. Alex has a deferred interest in the principal in income fromhis independent retirement account 212. Control of the M foundation isshared by Alex with Sylvia 213, 223. Trusts were established for threechildren of the first marriage, each child an undivided interest in theincome and principal of a trust 244, 255, 266. Alex as a contingentremainder interest in the HM trust 218, in which Helen has an incomeinterest 238 and three children have remainder interests 248, 258, 268.From FIG. 2, it is apparent that evaluating the economic position of anyparticular beneficiary requires attributing appropriate assets to thebeneficiary's portfolio. The appropriate assets may combine assetsactually held by one of the entities with hypothetical assets.

The interests depicted in FIG. 2 are among a wide range economicbenefits that can be generated by an entity. A trust, for instance, mayprovide ownership, life income, principal and remainder interests.

An ownership interest is characterized by percentage from zero to 100percent. The percentage of ownership corresponds to the control fractionthat gives a percentage control of the entity. Ownership gives fullparticipation in economic benefits of the entity.

An income interest terminates either on a given day, on thebeneficiary's death, or on the earlier of the two events. Incomeinterest can be stated in a variety of ways. A beneficiary may share inthe entity's annual income. A beneficiary may receive the stated dollaramount, potentially with cost-of-living adjustments which may be annual,quarterly or on some other frequency. Cost reimbursement is a variety ofincome interest, in which the beneficiary receives income equal to amultiple of the beneficiaries cost experience in a year. Typical costsare for education, health and general living expenses. A normal annualexpense can be calculated for any of these cost categories.

If an entity terminates before the income interest terminates, theremaining income interest may be satisfied in a variety of ways. Thebeneficiary may be paid this stated value, potentially subject toinflation escalation. The beneficiary may be paid a multiple of theaverage benefit data over a stated number of years prior to termination.Or, the beneficiary may get nothing. Of course, other variations arepossible.

A remainder income interest entitles the holder to share in income nototherwise disposed of. A remainder income interest typically terminateswhen the entity terminates, which may coincide with termination of aprimary income interest.

A capital interest provides a percentage share or a dollar claim againstan asset. A dollar amount interest in an asset, potentially may besubject to inflation escalation. An interest may mature at a stated timeor termination of the entity. The benefit may be accelerated orforfeited if the entity terminates before a stated time. The benefit mayor may not be forfeited upon death of the beneficiary, prior todistribution the benefit.

A remainder capital interest provides a share of the residual valueassets held by the entity upon termination of the entity.

A contingent interest transforms into or triggers one of the otherinterests if the contingency is met. The contingency that gives rise toanother type of interest may, for instance, be that everyone on the listof persons dies before a stated day or the termination of the entity.Or, at least some number of persons on the list survives to a stateddate or termination of the entity. Many other contingencies can beimagined.

Consider, for example, a testamentary trust that old assets are in thelife of a surviving spouse, with the provision that income will be paidcurrently to the surviving spouse and a capital will be available to payhealth expenses. When a spouse dies, the interest is divided equallybetween two children. Here, the entity is a trust the terminates on thedeath of the spouse. The spouse as income interest equal to 100 percentof income with no terminal benefit. The spouse also has an incomeinterest measured by health costs. The children have remainder capitalinterest of 50 percent each.

In another example, a grantor retained annuity trust pays a grantor anannuity of $100,000 per year for five years and pays a remainder to achild. If the grantor dies within five years, the remainder goes to thegrantor's estate. The grantor has an income interest, the child has aremainder capital interest, and the estate has a contingent capitalinterest.

The following abstractions or generalizations are useful. An interesthas a beneficiary and an entity. An interest terminates with thetermination of the entity. An interest may terminate when a beneficiarydies or it may pass to a new beneficiary. An interest may be present orcontingent interest. A contingent interest becomes a present interestonce the condition of the contingency is met. An interest may be a claimon current income, accumulated income, or capital of an entity. Theremay be some ordering as to which class is called upon first to satisfythe interest. For instance, health expenses may be paid first fromincome and then from capital. An interest is limited to the availableclass of resource of the entity at which it has a claim. An incomeinterest is not allowed to invade capital. An interest is payable at atime or at some frequency within a window of time. The payment time orwindow boundaries can be defined either by a date or an event. Typicaladvance used to define payment windows are termination of entities,termination of beneficiaries or death of natural persons. The amount ofan interest can be stated in a variety of ways. The amount can be aspecific sum, a sum adjusted by a price index, realized costs of anactivity or a share of a class of resource. An interest can be assigneda priority within its resource pool, such that it is paid only afterclaims of high-ranking interests. With these characteristics in mind, wepropose a novel way to automatically characterize the economic benefitsof beneficiary interests so that they can be analyzed as beneficiaryportfolio.

A beneficiary is someone who holds at least an interest in an entity andmay hold multiple interests in multiple entities. We disclose a methodand system for automatically creating a beneficiary portfolio thatincludes real and hypothetical assets, which represents thebeneficiary's interests. Creating a beneficiary portfolio is this waypermits analysis using standard portfolio analysis techniques. Portfolioanalysis techniques model the economic consequences of interests held bybeneficiaries. This depends on the hypothetical asset qualifying as anasset that the analysis technique understands. That is, the hypotheticalasset is in the analysis universe. In general, we assume that if anon-derivative asset is in the analytic universe, techniques areavailable for understanding income-only and principal-only derivativesof the asset. The analytic universe includes insurance and annuities,particularly whole life insurance, term life insurance and (both lifeand single payment).

To create a beneficiary portfolio for a beneficiary who has interests inseveral entities, we consider each entity in turn. We look at each ofthe interests assigned from an entity and map hypothetical assets tointerest categories as appropriate.

For a beneficiary with a percentage ownership interest in an entity, weadd a percentage of each asset held by the entity to the beneficiaryportfolio.

For a beneficiary with an income interest, several treatments arepossible, depending on how the income interest is defined. If thebeneficiary is entitled to a share of income from the entity, we add apercentage of an income-only derivative in each asset held by the entityto the beneficiary portfolio. If the beneficiary is entitled to costrecovery, we equate the expected cost an annuity that has initial“normal” payout. We multiply the normal payout times the applicablemultiplier, potentially inflated by cost index. For instance, recoveryof health costs would be inflated by a health care cost index, whileliving expenses would be subject to a cost-of-living index. If there isa terminal payout upon entity termination, we represent that by ahypothetical term life policy, with the benefit amount equal to thetermination benefit and the payout criterion identical with the entitytermination criterion.

In FIG. 3, we illustrate creation of beneficiary portfolios that includea payout for life to a particular beneficiary. The trust 301 holds atleast one asset 311. For portfolio analysis, we allocate this asset tothe other beneficiaries 313. The beneficial interest of the particularbeneficiary 302 is represented by a long position in a life term annuity322. The long position is offset by a short position 323 allocated tothe other beneficiaries 302. Comparing the trust portfolio 301 to theportfolios of the particular beneficiary 302 and the other beneficiaries303, we see that the hypothetical long and short interests 322, 323 arebalanced, so the combined beneficiary portfolios 302, 303 have the sameexpected payout and cost as the original trust portfolio 303.

In FIG. 5, we depict a terminal payout to a particular beneficiary. Theasset held by the trust 511 is allocated to the other beneficiaries 513.The beneficiary portfolio for the particular beneficiary 502 isallocated a long position in a term life policy 522 with the benefitamount equal to the termination benefit. The long position is offset bya short position in a term life policy 523 assigned to the otherbeneficiaries 503.

In FIG. 9, we depict an extended cost recovery for health costs. Theparticular beneficiary 902 is covered for both immediate health costsand long-term residential care. The asset 911 in the trust 901 isassigned to the other beneficiaries 913. The particular beneficiary isassigned long positions in a medical insurance policy 922 and along-term healthcare policy 932. The long insurance positions are offsetby short positions 923, 933 and in beneficiary portfolios of the otherbeneficiaries 903.

For a beneficiary with the remainder income interest, we divide thetrust asset into derivatives for income-only and principal-only. This isillustrated in FIG. 4. Supposing that the remainder interest is subjectto periodic payments to other beneficiaries, we add a long position inan annuity 423 to the other beneficiaries 403. This is balanced by ashort position in the annuity 422 added to the beneficiary portfolio ofthe particular beneficiary 402. The particular beneficiary also isassigned the income-only derivative 412. If the other beneficiaries havedifferent interests, the other beneficiaries interests 403 areappropriately represented as long positions 433 and balanced by shortpositions 422 in the beneficiary portfolio for the particularbeneficiary. This is generally illustrated in FIG. 6, which depicts howto represent a particular beneficiary's capital remainder interest sothat it can be handled by portfolio analysis.

For a beneficiary with a capital interest, the handling depends onwhether the capital interest is a share of an asset or a dollar amount.FIG. 7 illustrates the case in which the particular beneficiary isentitled to a percentage of the asset. Then, the asset in the trustportfolio 701 is represented as an income-only derivative 711 plus aprincipal-only derivative 721. The income-only derivative is assigned713 to the other beneficiaries 703. The respective percentages of theprincipal derivative are assigned to the particular beneficiary 722 andthe other beneficiaries 723. FIG. 8 illustrates the case in which theparticular beneficiary is entitled to a specific dollar amount from theasset. The trust asset 811 is assigned to the other beneficiaries 813. Along position in a single period annuity 822 is assigned to thebeneficiary portfolio of the particular beneficiary 802. The longposition is balanced by a short position in the same annuity 823assigned to the beneficiary portfolios of the other beneficiaries 803.

In these examples we disclose representing beneficial interests inindividual beneficiary portfolios as combinations of assets held by atrust with long and short positions of hypothetical assets. The long andshort positions are offsetting, so the combined holdings of thebeneficiary portfolios precisely equal the holdings of the trustportfolio. The expected payout of a select of hypothetical position(sometimes combined with an asset) equals the beneficial interest in theportfolio. This approach can be implemented in a system or described asa method.

FIG. 10 depicts a system that interacts with the user, receiving input,constructing beneficiary portfolios and producing perceptible output. Aserver or other device with logic and resources 1020 interacts with auser 1010 who typically has a trusted advisor. Of course, a beneficiaryalso could interact with the server. The server collects from the user1010 a variety of information about entity assets and beneficialinterests. The information listed includes assets 1031, beneficiaries1033 and beneficiary interest 1035. A beneficiary interest is describedby a time period. 1041, a relationship to income and capital 1043, andcontingencies 1045. This description may be stored in a data tuple. Thedescription of a beneficiary or beneficial interest further may includea terminating event, or a single payment interest can be implied by anull terminating event. It also may include priority information, if theinterest is subject to prior satisfaction of other priorities.

The system 1020 converts the import 1031-1045 into beneficiaryportfolios 1051-1052. The portfolios include assets 1061, 1062 athypothetical long and short positions 1071, 1072, 1081, 1082. Thesebeneficiary portfolios are subject to portfolio analysis, from whichperceptible output 1090 is generated.

There are several useful analyses of beneficiary portfolios that can beused to produce perceptible output 1090. Of course, these analyses ofbeneficiary portfolios include both the actual hypothetical assets. Itis useful to value and project cash flow from a portfolio. Portfolioholdings may be characterized by the fractions of value allocated totypes of investments, investment styles, sectors of the economy andsectors of global capital market. A beneficiary portfolio may bemeasured for exposure to investment risk, including analyzing the amountof value-at-risk. A particular portfolio may be characterized in termsof investment risk and return, for instance positioned along anefficient frontier. Simulation can be applied to a beneficiaryportfolio, either under the assumption of a static mix of underlyingassets or a dynamic investment strategy. The simulation can beconstrained to generate or avoid specific scenarios where it can be runmany times and the outcomes categorized by scenario. Scenarios may, forinstance, include the order of death of various beneficiaries. This isof particular interest when a family of entities evolves over time atthe hands of multiple advisors. Simulation that produces a variety ofdeath orders will sometimes reveal unexpected dispositions of assets.Productivity of a beneficiary portfolio can be measured in terms ofinvestment risk exposures, investment risk, projected return andefficiency relative to goals set by the beneficiary. The likelihood ofsatisfying essential, additional and aspirational goals can becalculated by simulation.

Individual beneficiary portfolios and a family of beneficiary portfolioscan be optimized using the methods and systems disclosed in ProvisionalApplication No. 60/979,765, filed 12 Oct. 2007, which was incorporatedby reference above. Further detail regarding interesting analyses ofbeneficiary portfolios that include real and hypothetical assets appearsin the materials incorporated by reference.

FIG. 11 is a general flowchart of a method that maps hypothetical assetsto beneficiary portfolios and produces perceptible output. The methodincludes eliciting trust and goal related data 1110. This includes bothresource and claim information and beneficial interest information. Themethod maps beneficial interest to financial and derivative instruments1120. Any of a variety of portfolio analyses can be applied 1130 toindividual beneficiary portfolios, the family of beneficiary portfoliosor the trust portfolio. Beneficiary portfolios may optionally includeseparate assets of the beneficiary that are not controlled or held bythe family of entities. Analyses for various portfolios can besummarized and graphically depicted in comparison to each other. Theresults are output in a perceptible form 1140. They may be printed ordisplayed on a monitor.

Some Particular Embodiments

The present invention may be practiced as a method or device adapted topractice the method. The invention may be an article of manufacture suchas media impressed with logic to carry out computer-assisted mapping ofbeneficiary interests in a trust to actual and hypothetical assets inbeneficiary portfolios and performing portfolio analysis on theresulting beneficiary portfolios.

One embodiment is a computing device that collects trust related dataand automatically constructs beneficiary portfolios including real andhypothetical assets. This device includes logic and resources coupled toa network. It includes a listing module, a beneficiary module and aportfolio analysis module, which run on the logic and resources. Theeliciting module interacts via network with the user and collects trustrelated data. The trust related data collected includes at least anidentification and ownership of trust assets, and identification ofbeneficiaries, and a description of beneficiary interests in the trustassets. The description of the beneficiary interest includes a period ofthe beneficiary interest, relationship of the beneficiary interestincome and capital and applicable contingencies, if any. The beneficiaryportfolio module is coupled to the trust related data collected by theeliciting module. It constructs beneficiary models by automaticallymapping the beneficiary interests to combinations of long and shortpositions in financial or derivative interests that have expectedpayouts and costs equal to the beneficiary interest in the trust assets.It automatically allocates the long and short positions to beneficiaryportfolios of a particular beneficiary having a particular beneficiaryinterest and to beneficiary portfolios of other beneficiaries. Theportfolio analysis module is coupled to the beneficiary portfolios. Itperforms portfolio analysis on actual and hypothetical assets in thebeneficiary portfolios and produces a perceptible output summarizingresults of the portfolio analysis.

One aspect of this embodiment further includes internal characterizationdata tuples that represent the beneficiary interest. These data tuplesare stored in computer readable media. The data elements of the tuplesinclude at least a trigger for the beneficiary to receive a payout fromthe beneficiary interest, a terminating event for the beneficiary tostop receiving the payout, a payout schedule of payout string the timefrom the triggering event to the terminating event, and inflation flagfor whether scheduled amounts (as opposed proportions) among the payoutsare inflation-adjusted, a claim schedule of claims of the beneficiaryinterest against current income, accumulated income and/or principal inthe trust assets, and a priority schedule of priority of the beneficiaryinterest claims in relation to other claims against the trust assets.According to this aspect, the trust related data is stored in theinternal characterization data tuples.

Another aspect of this embodiment further includes the eliciting moduleadapted to collect individual assets information from a least oneparticular beneficiary regarding their individual, non-trust assets. Itfurther includes a portfolio analysis module adapted to perform theportfolio analysis on the actual and hypothetical assets in thebeneficiary portfolio combined with the individual assets of theparticular beneficiary.

A further aspect of this embodiment includes the portfolio analysismodule adapted to run portfolio analyses that take into accountstatistical uncertainty of performance of the beneficiary portfolio.

In the disclosure above, we describe a variety of examples ofautomatically mapping beneficiary interest to long and short positionsin hypothetical and real assets. All of the examples described above areaspects of the device embodiment. In particular, the beneficiaryinterest may include at least a remainder interest in a cumulated incomein favor of the particular beneficiary, subject to a sequence of payoutsfor life to a second beneficiary from income produced by the trustasset. According to this aspect, the device further automatically mapsthe income of the trust assets to an income-only derivative and theprincipal of the trust asset to the principal-only derivative. It mapsthe payout to a long position in annuity for the second beneficiary anda short position in the annuity for the particular beneficiary. Itallocates these long and short positions in the financial or derivativeinstruments to the beneficiary portfolios. It allocates the income-onlyderivative to the particular beneficiary.

This device embodiment and it's aspects may be combined with a varietyof analyses including the descriptive and insightful analyses describedin U.S. patent application Ser. No. 11/627,814 and the solution methodsdescribed in provisional application No. 60/979,765. The modulesidentified can be adapted to perform any of the methods described inthis application, including methods described in the materialincorporated by reference.

One method embodiment is a computer implemented method of attributinginterest in at least one trust to a plurality of beneficiaries whoreceived differing benefits at differing times. This method includesinteractively the eliciting a description of trust assets and interest.The description elicited includes an identification and ownership oftrust assets, and identification of beneficiaries, and a description ofbeneficiary interests in the trust assets. The description ofbeneficiary interest includes a period of the beneficiary interests, arelationship of the beneficiary interest income and capital andapplicable contingencies. The method proceeds with creating beneficiaryportfolios by automatically mapping the beneficiary interest to long andshort positions in financial or derivative instruments having expectedpayouts and costs equal to the beneficiary interests in the assets. Itfurther includes analyzing at least one beneficiary portfolio for aparticular beneficiary and perceptibly reporting results of theanalysis.

One aspect of this method, for a particular beneficiary, furtherincludes combining non-trust assets to the beneficiary with thebeneficiary portfolio for combined analysis.

Another aspect of this method is analyzing the beneficiary portfolio bytaking into account statistical uncertainty in performance of thebeneficiary portfolio.

This method may be employed to analyze a plurality of beneficiaryportfolios in scenarios that involve differing orders of death among thebeneficiaries.

As with the device embodiment, the method embodiment may includecreating internal characterization data tuples for the beneficiaryinterests. These data tuples may include at least a trigger for thebeneficiary to receive a payout from the beneficiary interest, aterminating event for the beneficiary to stop receiving the payout, apayout schedule of payout string the time between the triggering andterminating events, an inflation flag for whether the scheduled amountsare inflation-adjusted, a claim schedule claims of the beneficiaryinterest against current income accumulated income, and/or principal inthe trust assets, and a priority schedule of priority of the beneficiaryinterest claims in relation to other claims against the trust assets.Applying the data tuple aspect, the automatic mapping action uses theinternal characterization data tuples to select the long and shortpositions in the financial or derivative instruments.

Optionally, the automatic mapping maybe presented to a user forconfirmation or editing.

Again, we describe above a variety of examples of automatically mappingbeneficiary interests to long and short positions in hypothetical andreal assets. In one case, the beneficiary interests include at least asequence of payouts that extend until a particular beneficiary's death.These payouts have priority over other interests of other beneficiaries.The method further includes automatically mapping the payouts to a longposition in an annuity for the particular beneficiary and an offsettingshort position in the annuity for the other beneficiaries. These longand short positions are readily subject to portfolio analysis, whereasportfolio analysis tools do not understand a beneficial interest in atrust that affords payouts until a beneficiary's death.

In another case, the beneficial interests included at least a sequenceof payouts for health cost recovery that extend until a particularbeneficiary's death. These payouts have priority over interests of otherbeneficiaries. The method further includes automatically mapping thepayouts to long position in a health insurance policy for the particularbeneficiary and an offsetting short position in a health insurancepolicy for the other beneficiaries. Of course, these mapped positionsare allocated to their respective beneficiary portfolios as hypotheticalassets.

In a further case, the beneficiary interests include at least aremainder interest in accumulated income from a trust asset in favor ofthe particular beneficiary. This remainder interest is subject to asequence of payouts for life to a second beneficiary from incomeproduced by the trust asset. The method further includes automaticallymapping the income of the trust asset to an income-only derivative andthe principal of the trust asset to a principal-only derivative. Itincludes mapping the payout to a long position in an annuity for thesecond beneficiary and an offsetting short position in the annuity forthe particular beneficiary and allocating the long and short positionsto the beneficiary portfolios. It further includes allocating theincome-only derivative to the particular beneficiary.

In yet a different case, the beneficiary interests include at least apayout on behalf of a particular beneficiary triggered by the particularbeneficiary death. This may be a legacy payout. The payout has priorityover a remainder interest of other beneficiaries. The method furtherincludes automatically mapping the payout to a long position in a termlife policy for the particular beneficiary and an offsetting shortposition in the term life policy for the other beneficiaries.

Another case involves beneficiary interest that included at least aremainder interest in a trust asset in favor of a particularbeneficiary. This method further includes allocating the trust asset tothe particular beneficiary and mapping all other beneficiary intereststhat have a claim on the trust asset as long positions representing thebeneficiary interests in respective beneficiary portfolios and isoffsetting short positions in the particular beneficiary portfolio.

A pair of capital interest cases involve distribution of proportionateshares and specific dollar amounts from a trust asset. In thisproportionate share case, a particular beneficiary is entitled to acapital interest in a proportionate share of a trust asset, subject toincome interests of other beneficiaries. The method further includesmapping income from the trust asset to an income-only derivative andprincipal of the trust asset to a principal-only derivative. It furtherincludes allocating the particular beneficiary's proportionate share ofthe principal-only derivative to the particular beneficiary's portfolio.The case in which the particular beneficiary has a dollar amountinterest in the capital of a particular trust asset, the method furtherincludes mapping the dollar amount of the capital interest in the trustasset to a long position in a single period annuity for the particularbeneficiary's portfolio and an offsetting short position in the singleperiod annuity for the other beneficiaries.

While the present invention is disclosed by reference to the preferredembodiments and examples detailed above, it is understood that theseexamples are intended in an illustrative rather than in a limitingsense. Computer-assisted processing is implicated in the describedembodiments. Accordingly, the present invention may be embodied in:

-   methods for automatically mapping and allocating real and    hypothetical assets to match beneficial interests in trust assets    while facilitating portfolio analysis of the resulting beneficiary    portfolios, systems including logic and resources to carry out    mappings and allocations to create beneficiary portfolios; systems    that take advantage of computer-assisted mapping and allocation of    real and hypothetical assets into beneficiary portfolios; media    impressed with logic to carry out mapping and allocation of real and    hypothetical assets into beneficiary portfolios; methods of sending    and receiving data streams intended to be persisted in memory, at    least temporarily, that are impressed with logic to carry out    mapping and allocation of real and hypothetical assets into    beneficiary portfolios, or computer-accessible services that carry    out computer-assisted mapping and allocation of real and    hypothetical assets into beneficiary portfolios. It is contemplated    that modifications and combinations will readily occur to those    skilled in the art, which modifications and combinations will be    within the spirit of the invention and the scope of the following    claims.

1. A computing device that collects trust-related data and automaticallyconstructs beneficiary portfolios including real and hypotheticalassets, the device including: logic and resources coupled to a network;an eliciting module running on the logic and resources that interactsvia a network with a user and collects trust-related data including atleast an identification and ownership of trust assets; an identificationof beneficiaries; a description of beneficiary interests in the trustassets, including a period of the beneficiary interest, a relationshipof the beneficiary interest to income and capital, and applicablecontingencies; and a beneficiary portfolio module running on the logicand resources and coupled to the trust-related data collected by theeliciting module, that constructs beneficiary portfolios byautomatically mapping the beneficiary interests to combinations of longand short positions in financial or derivative instruments that haveexpected payouts and costs equal to the beneficiary interests in thetrust assets; and allocating the long and short positions to beneficiaryportfolios of a particular beneficiary having a particular beneficiaryinterest and of other beneficiaries; and a portfolio analysis modulerunning on the logic and resources and coupled to the beneficiaryprofiles, that performs portfolio analysis on actual and hypotheticalassets in the beneficiary portfolios and produces a perceptible outputsummarizing results of the portfolio analysis.